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The aim of the present study was to compare the efficiency of targeted and untargeted breath analysis in the discrimination of lung cancer (Ca+) patients from healthy people (HC) and patients with benign pulmonary diseases (Ca−). Exhaled breath samples from 49 Ca+ patients, 36 Ca− patients and 52 healthy controls (HC) were analyzed by an SPME–GC–MS method. Untargeted treatment of the acquired data was performed with the use of the web-based platform XCMS Online combined with manual reprocessing of raw chromatographic data. Machine learning methods were applied to estimate the efficiency of breath analysis in the classification of the participants. Results: Untargeted analysis revealed 29 informative VOCs, from which 17 were identified by mass spectra and retention time/retention index evaluation. The untargeted analysis yielded slightly better results in discriminating Ca+ patients from HC (accuracy: 91.0%, AUC: 0.96 and accuracy 89.1%, AUC: 0.97 for untargeted and targeted analysis, respectively) but significantly improved the efficiency of discrimination between Ca+ and Ca− patients, increasing the accuracy of the classification from 52.9 to 75.3% and the AUC from 0.55 to 0.82. Conclusions: The untargeted breath analysis through the inclusion and utilization of newly identified compounds that were not considered in targeted analysis allowed the discrimination of the Ca+ from Ca− patients, which was not achieved by the targeted approach.